Tagged Questions

Securities which obligate the borrower/issuer to make payments on a fixed schedule. Fixed income securities include sovereign, corporate and municipal bonds, corporate loans, and securitized lending (e.g., ABS). "Fixed" refers only to the schedule of obligatory payments, not the amount, and may ...

I am in the process of calculating sovereign zero coupon yield curves using the NS-Svensson parameter for a number of countries. Due to data constraints, I would like to use the information from price ...

I am trying to understand how to calculate the discount factors $disc(TTM)$ mentioned on Page 9 of this pdf. When I'm calculating the discount factors, mentioned each bond has its own cash flow and ...

I am trying to determine the parameters for the Nelson Siegel Svensson model and am solving a Non- Linear Optimization problem to do this. I am using the procedure presented in this paper.
The way I ...

I am trying to determine the parameters for the Nelson Siegel Svensson model and am solving a Non- Linear Optimization problem to do this. Some of the code I have written is below and this is where my ...

I am trying to construct a Zero Coupon Yield curve for US Government Bonds from market data (coupons, face values, prices, months to maturity) via Bootstrapping. However, I am not too sure how I would ...

I am using the formula here to determine the discount factor function and eventually the zero-coupon yields. I get the data for Coupons, Face Values and Closing Prices from Thomson Reuters, which I ...

I am trying to access the Swiss Zero-Coupon Yield Curve Data. I know that the Swiss National Bank provides this data, as noted on the 8th Page of this paper under Section 3.2. However, I am for the ...

I'm trying to recreate some historical curves using EONIA swap rates. Unfortunately I can't find a concrete specification for the swaps. Without knowing if there are intermediate coupon payments, I ...

Would anyone know and API or Database where one could access Zero Coupon Bond Yield Curves? Also, is it wrong to use Coupon Paying Bonds Yield Curves and then zero-finding and then bootstrapping to ...

I've recently learned that at the delivery of Treasury futures the short side can decide which of the $n$ Treasury bonds (with relevant maturities) to deliver. If the short side chooses to deliver the ...

I was wondering whether there exist pricing models in particular for Invoice Discounting contracts and short-term financing solution where credit risk plays a major role.
Specifically, assuming that ...

I am graduating with a BS in math and obviously love math but everything changed when a buddy of mine invited me to an investment society in our school and I love every single experience. The part I ...

I guess the price of a Zero-Coupon Bond with infinite maturity should go to zero, what about its yield?
I am asking this because I was dealing with the yield curve and its asymptotic properties when ...

I'm having trouble understanding DV01 convention. From what I understand it stands for "Dollar value of 1 basis point."
For instance, if I have a bond with DV01 = 0.05, does a portfolio composed of ...

I am constructing discount curve for tenor 1 month.
First Instrument - PLN_1M_WIBOR has Effective Date on 2015-01-29 (spot). I was wondering what Maturity Date should be? 2015-02-27 or 2015-03-02? I ...

We receive daily end-of-day data from a data vendor (i.e. not direct from an exchange) and are comfortable with this.
We are now wanting to receive live data, and after a few enquiries we are feeling ...

I am trying to build Japanese Yen interest rate curves. When defining the curve instruments for the 'OIS' (discount) curve (aka TONAR), I am uncertain as to which rate to use for the overnight deposit ...

I've been tasked with researching trading strategies relating PCA to trading fixed income futures instruments. Apparently PCA is frequently used in this area. I'm just looking for some references for ...

What are the various ways to choose bonds for a butterfly strategy? For eg., I already know the most common one i.e., choosing short and long term for the wings (barbell) and the medium term for the ...

I'm given cap prices and swap rates, and i'm trying to calibrate the Hull-White model to them. I then want to use the model in order to price a swaption.
I know that the model can be calibrated from ...